oBond3_CFM( ) Example

Description

Consider a 10-year bond that has a semi-annual coupon of 8.25%, a dated date of 1 March 1998, a first coupon date of 1 June 1998, a maturity date of 1 June 2008, and a face value of $100,000. The bond discounts all cash flows on an Actual/365 JGB basis and accrues interest on a Actual/Actual (bond) basis. Yield is calculated on a semi-annual compounding basis.

There is no ex-dividend period, cash flows are rounded to 12dp, and cash flows that fall on a non-business day are not adjusted. Coupons are exact and the bond is priced using the ISMA formula.

Generate the cash flow map of this bond assuming a settlement date of 1 March 2003.